woeamМир экономики и управленияWorld of Economics and Management2542-04292658-5375Новосибирский национальный исследовательский государственный университетwoeam-308Research ArticleМАКРОЭКОНОМИЧЕСКИЙ АНАЛИЗ: МЕТОДЫ И РЕЗУЛЬТАТЫMACROECONOMIC ANALYSIS: METHODS AND RESULTSУчет фактора валютного риска в теории ценообразования активовExchange rate risk exposure in asset pricing theoryКучинИлья ИгоревичKuchinI. I.

аспирант

baliska88@mail.ruНациональный исследовательский университет – Высшая школа экономики, МоскваРоссияNational Research University Higher School of Economics, MoscowRussian Federation20161801202216331–41Copyright © Кучин И.И., 20162016Кучин И.И.Kuchin I.I.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://woeam.elpub.ru/jour/article/view/308

За прошедшие десятилетия было опубликовано большое количество научных работ по оценке влияния валютного риска на стоимость компаний. Исследования подтвердили, что валютный риск является одним из ключевых ценообразующих факторов. Также стало известно, что поток капитала, направляемый на развивающиеся рынки, заметно вырос за последние несколько лет, тем самым указывая на то, что у международных инвесторов снова возник интерес к активам данных рынков. В свете этих фактов, эмпирический вопрос о том,  учитывается ли валютный риск на фондовой бирже, и если да, то как,-является уместным в контексте развивающихся рынков. В данной работе исследуется историческое развитие моделей в рамках теории ценообразования активов и делается вывод, что для выявления влияния валютного риска на развитых и развивающихся рынках наиболее успешно использовались динамические, условные и международные модели ценообразования.

Исследования влияния валютного риска обладают определенной спецификой. В работе рассматриваются и классифицируются различные особенности моделей учитывающих валютный риск, а также упоминаются детали эмпирического анализа на развивающихся рынках.

 

A large number of research papers on relation between currency risk and firms’ value have been published during last several decades. Researches acknowledged that currency risk could be a pricing factor. In this paper we investigate the historical development of models within the pricing theory. Also, we come to conclusion that dynamic, conditional and international asset pricing models were considered among the best for identifying the impact of exchange rate risk in developed and emerging markets.

There is certain specific in currency exposure research.  In this paper we considered different methodological aspects for identifying the impact of exchange rate and mentioned details of empirical analysis in emerging markets.

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The authors declare that there are no conflicts of interest present.